This paper explores the determinants of recovery rates on defaulted loans and bonds for North American corporate issuers over a period of 21 years (1983-2003). The variables it examines include seniority, security, type of initial default event, and a wide variety of firm-specific,...

Although issuers often receive a wide variety of benefits from securitization, many commonly used securitization structures fail to transfer meaningful amounts of credit risk. Some structures, however, transfer more risk than others. This Rating Methodology presents an analytical approach that...

This Special Comment analyzes the relationship between structured finance par coupon spreads at issuance and the securities' credit ratings. Our data sample covers a seven-year period from 1998 to 2004, and includes floating and fixed rate securities that were rated investment grade (Baa3 or...

Corporations often issue debt securities through multiple legal entities, whose default experiences are likely to be strongly, but imperfectly, correlated. In the absence of iron-clad cross-guarantees across affiliates, a single entity may default while some or all its affiliates may not. Risk...

Sovereign ratings are gaining importance as more governments with greater default risk borrow in international bond markets. But while the ratings have proved useful to governments seeking market access, the difficulty of assessing sovereign risk has led to agency disagreements and public...

Rating-dependent financial regulators assume that the same letter ratings from different agencies imply the same levels of default risk. Most quot;thirdquot; agencies, however, assign significantly higher ratings on average than Moody's and Standard amp; Poor's. We show that, contrary to the...

This paper was presented at the panel session on rating agencies and sovereign risk, held during the seminar on sovereign risk hosted by the BIS in January 2013.Full publication: "http://ssrn.com/abstract=2420000" Sovereign Risk: A World Without Risk-Free Assets?